In the discussion of designing for a healthier city, people in movement between interconnected spaces perform a non-sedentary activity enhancing sustainability and well-being. However, adverse weather conditions may create uncomfortable thermal sensations that change or ruin the experience of people walking outdoors. This paper is presenting the findings of a 3-year study on the perceptual variation of thermo-spatial conditions and comfort state for pedestrians moving between interconnected spaces. Thermal walks were organised in two European pedestrian routes of 500-m length. The structured walks were conducted with simultaneous microclimatic monitoring and field surveys of thermal perception based on 314 questionnaires, with a focus on the variation of comfort states. The findings suggest that spaces in sequence do not affect significantly microclimatic variation but have a large impact on the dynamic thermal perception of pedestrians. Interconnected spaces of high density result in a differentiation of thermal pleasantness between streets and squares. The aspect of movement along with complexity in urban morphology along a sequence enhances diversity in thermal sensation. This understanding opens possibilities in developing a multisensory-centred urbanism, where the experience of the thermal environment plays an integral role for perception-driven and healthier urban design.